The author thanks the Associate Editor, Jonathan Temple, and two anonymous referees for very helpful comments on an earlier draft of the paper. The usual disclaimer applies, of course.
Bradford Smith: An Econometrician Decades Ahead of His Time*
Version of Record online: 14 NOV 2010
© Blackwell Publishing Ltd and the Department of Economics, University of Oxford, 2010
Oxford Bulletin of Economics and Statistics
Volume 73, Issue 2, pages 276–285, April 2011
How to Cite
Mills, T. C. (2011), Bradford Smith: An Econometrician Decades Ahead of His Time. Oxford Bulletin of Economics and Statistics, 73: 276–285. doi: 10.1111/j.1468-0084.2010.00615.x
- Issue online: 21 FEB 2011
- Version of Record online: 14 NOV 2010
- Final Manuscript Received: August 2010
This article attempts to rehabilitate Bradford Smith, who in 1926 published a short article in the Journal of the American Statistical Association in which he considered the implications of detrending time series by either deviations-from-trend or first-differencing prior to regression. His discussion covers such topics as the permanent-transitory innovation distinction inherent in difference and trend stationary processes, common factor restrictions and general-to-specific modelling. These have all become mainstays of modern time-series econometrics, yet there does not appear to be even one reference to Smith's paper in all the years since its publication.